Is there a way to snap these pieces to create some house, and tell T3D to merge them as one model ?

No.

As Az and JeffR said LODs and animations feature is missing.

Still you can used, you can use modular static shapes, select all the meshes and then export to collada and re-import to the engine as one mesh (A) or you can use a tool to "merge the meshes" (B) is the same as A but in one step.

Ah now I see them, I had a blocker on.
Regarding the merging thing, I would just use the modules in blender, combine them there and then export as one mesh, would be the best solution, since blender offers better snapping tools etc and you will have a truly merged model.
Modular level design is most often used in big teams, where artists and level designers work independendly, so the level designers can build levels and the artist model elements at the same time.
But if you do not have a team, you could just merge it in blender already.